Interactions between stock, bond and housing markets

被引：19
作者：
Dieci, Roberto [1 ,2 ]
Schmitt, Noemi [3 ]
Westerhoff, Frank [3 ]
机构：
[1] Univ Bologna, Dept Math, Bologna, Italy
[2] Univ Bologna, Sch Econ Management & Stat, Bologna, Italy
[3] Univ Bamberg, Dept Econ, Bamberg, Germany
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2018年 / 91卷
关键词：
Stock markets; Housing markets; Bond markets; Bounded rationality; Market interactions; Nonlinear dynamics; ASSET PRICING EXPERIMENTS; EVOLUTIONARY SELECTION; SPECULATIVE BEHAVIOR; DYNAMICS; MODEL; EXPECTATIONS; HETEROGENEITY; STRATEGIES; BELIEFS; CRASHES;
D O I：
10.1016/j.jedc.2018.05.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop a model in which investors can participate in stock, bond and housing markets. Investors' market entry decisions are subject to herding effects and depend on the markets' price trends and on their mispricings. The dynamics of our model is governed by a four-dimensional nonlinear map and its unique inner steady state is characterized by standard present-value relations between dividends, rents and the bond rate. Amongst other things, we show that endogenous stock and housing market dynamics emerge, countercyclical to each other, if investors react strongly to the markets' price trends. Such a cross feedback reflects investors' tendency to transfer their enthusiasm from one speculative market to another. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：43 / 70
页数：28
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